Expected Utility Maximization Problem Under State Constraints and Model Uncertainty

Wahid Faidi (), Hanen Mezghanni () and Mohamed Mnif ()
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Wahid Faidi: College of Science and Humanities, Shaqra University
Hanen Mezghanni: University of Tunis El Manar, LAMSIN
Mohamed Mnif: University of Tunis El Manar, ENIT-LAMSIN

Journal of Optimization Theory and Applications, 2019, vol. 183, issue 3, No 16, 1123-1152

Abstract: Abstract We study a general robust utility maximization problem from terminal wealth and consumption under state constraints. Our framework includes financial models with constrained portfolios, labor income and large investor models. We state the existence and the uniqueness of the consumption–investment strategy by studying the associated quadratic backward stochastic differential equation. We characterize the optimal control by using the duality method and deriving a dynamic maximum principle.

Keywords: Utility maximization; Backward stochastic differential equations; Model uncertainty; Robust control; Maximum principle; 92E20; 60J60; 35B50 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s10957-019-01583-y

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